TFL Vsebine / Revija SIR*IUS

Historical and implied equity risk premium calculation: The case of Slovenian stock market

Premija za kapitalsko tveganje je bistvenega pomena za sodobno finančno teorijo, saj predstavlja ključno komponento pri izračunu stroška kapitala. Obstaja več načinov izračuna omenjene premije. V tem članku so predstavljeni trije pogosti načini, in sicer izračun premije po historičnem pristopu, na podlagi anketiranja ter izračun implicitne premije za kapitalsko premijo. V nadaljevanju članka je ilustrativni izračun premije po historičnem ter tudi implicitnem pristopu na primeru slovenskega trga delnic. Namen članka je predstaviti izzive ter pomanjkljivosti, s katerimi se srečujemo pri izračunu premije, predvsem v kontekstu države s kratko zgodovino trgovanja z delnicami, kot so majhen vzorec kotirajočih družb, visok standardni odklon letnega donosa in omejen dostop do vseh podatkov, potrebnih za bolj nepristranski izračun premije.

The equity risk premium is essential for the modern financial theory as it represents a key component in the calculation of cost of capital. There are several ways to calculate the premium. Three widely-used methods are presented in this article, namely the historical, survey and implied approach. An illustrative calculation of the premium using the historical as well as the implied approach is presented In the subsequent part of the article. The purpose of this article is to present the challenges and shortfalls when calculating the equity risk premium for a country with a short history of stock trading, such as a small sample size of publicly traded companies, high standard deviation of returns and limited access to information, needed for a more unbiased calculation of the premium.